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subject:"Share price"
type_genre:"Article in journal"
~person:"Francq, Christian"
~person:"Potiron, Yoann"
~subject:"Zeitreihenanalyse"
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Search: subject_exact:"Estimation theory"
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Share price
Zeitreihenanalyse
Estimation theory
28
Schätztheorie
28
ARCH model
18
ARCH-Modell
18
Volatility
10
Volatilität
10
Estimation
9
Schätzung
9
Time series analysis
8
Börsenkurs
7
Maximum likelihood estimation
5
Maximum-Likelihood-Schätzung
5
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5
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5
Stochastic process
4
Stochastischer Prozess
4
Integrated volatility
3
Market microstructure
3
Market microstructure noise
3
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3
Noise Trading
3
Noise trading
3
Quasi-maximum likelihood estimator
3
Statistical test
3
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2
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2
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Francq, Christian
Potiron, Yoann
Phillips, Peter C. B.
28
Leybourne, Stephen James
18
Linton, Oliver
16
Taylor, Robert
16
Teräsvirta, Timo
16
Harvey, Andrew C.
15
Lütkepohl, Helmut
15
Johansen, Søren
14
Chambers, Marcus J.
13
Gao, Jiti
13
Hassler, Uwe
13
Perron, Pierre
13
Tauchen, George Eugene
11
Xiao, Zhijie
11
Baillie, Richard
10
Koop, Gary
10
Li, Jia
10
Maheswaran, S.
10
McAleer, Michael
10
Robinson, Peter M.
10
Zakoïan, Jean-Michel
10
Zhu, Ke
10
Bauwens, Luc
9
Harvey, David I.
9
Hendry, David F.
9
Kapetanios, George
9
Koopman, Siem Jan
9
Lucas, André
9
Westerlund, Joakim
9
Baltagi, Badi H.
8
Chan, Ngai Hang
8
Chen, Xiaohong
8
Franses, Philip Hans
8
Ghysels, Eric
8
Hong, Yongmiao
8
Kumar, Dilip
8
Li, Qi
8
McElroy, Tucker
8
Nelson, Daniel B.
8
Nielsen, Morten Ørregaard
8
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Journal of econometrics
7
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
2
Econometric theory
1
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ECONIS (ZBW)
10
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1
Two-stage weighted least squares estimator of the conditional mean of observation-driven time series models
Aknouche, Abdelhakim
;
Francq, Christian
- In:
Journal of econometrics
237
(
2023
)
2,2
,
pp. 1-22
Persistent link: https://www.econbiz.de/10014471524
Saved in:
2
Local asymptotic normality of general conditionally heteroskedastic and score-driven time-series models
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Econometric theory
39
(
2023
)
5
,
pp. 1067-1092
Persistent link: https://www.econbiz.de/10014436596
Saved in:
3
Volatility estimation when the zero-process is nonstationary
Francq, Christian
;
Sucarrat, Genaro
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
1
,
pp. 53-66
Persistent link: https://www.econbiz.de/10013540630
Saved in:
4
Testing the existence of moments for GARCH processes
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 47-64
Persistent link: https://www.econbiz.de/10013441622
Saved in:
5
Local parametric estimation in high frequency data
Potiron, Yoann
;
Mykland, Per A.
- In:
Journal of business & economic statistics : JBES ; a …
38
(
2020
)
3
,
pp. 679-692
Persistent link: https://www.econbiz.de/10012262505
Saved in:
6
Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book
Clinet, Simon
;
Potiron, Yoann
- In:
Journal of econometrics
209
(
2019
)
2
,
pp. 289-337
Persistent link: https://www.econbiz.de/10012302598
Saved in:
7
Functional GARCH models : the quasi-likelihood approach and its applications
Cerovecki, Clément
;
Francq, Christian
;
Hörmann, Siegfried
- In:
Journal of econometrics
209
(
2019
)
2
,
pp. 353-375
Persistent link: https://www.econbiz.de/10012302614
Saved in:
8
Efficient asymptotic variance reduction when estimating volatility in high frequency data
Clinet, Simon
;
Potiron, Yoann
- In:
Journal of econometrics
206
(
2018
)
1
,
pp. 103-142
Persistent link: https://www.econbiz.de/10012110370
Saved in:
9
Risk-parameter estimation in volatility models
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Journal of econometrics
184
(
2015
)
1
,
pp. 158-173
Persistent link: https://www.econbiz.de/10011326796
Saved in:
10
GARCH models without positivity constraints : exponential or log GARCH?
Francq, Christian
;
Wintenberger, Olivier
;
Zakoïan, …
- In:
Journal of econometrics
177
(
2013
)
1
,
pp. 34-46
Persistent link: https://www.econbiz.de/10010189881
Saved in:
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